Ever notice how sports fans insist on talking as if they’re one of the players when all you do is watch the games on TV?
It could be that cheering a particular team gives them an identity and sense of belonging. They are defining themselves as part of a group. Even if the team loses, the fans watch every game with just as much enthusiasm as the last.
The psychological benefit of being part of a group is more important than whether a team wins. The real fans are those who keep rooting for their teams even when they lose. After all, another function of a group is to stick together and protect its members in the face of adversity. Rooting for a losing team increases your sense of allegiance to the group.